Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 8 7 8
Score 3.94 2.49 4.03
Market Cap (Millions USD) 3906.12 3721.28 3515.44
Predicted Beta 0.42 0.41 0.4
Idiosyncratic Volatility 0.2 0.22 0.22

Annualized return and volatility

SPTM
Annualized Return 0.0668
Annualized Std Dev 0.1896
Annualized Sharpe (Rf=0%) 0.3524

Row

Daily Return Statistics

SPTM
Observations 4914.0000
NAs 200.0000
Minimum -0.0894
Quartile 1 -0.0043
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0056
Maximum 0.2457
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0119
Skewness 1.5034
Kurtosis 41.5652

Downside Risk

SPTM
Semi Deviation 0.0084
Gain Deviation 0.0093
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.5480
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0283
Modified VaR (95%) -0.0037
Modified ES (95%) -0.0037
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2012-03-13 -0.5480 1133 364 769
2000-11-09 2002-10-09 2005-11-23 -0.4099 1288 486 802
2018-09-21 2018-12-24 2019-04-12 -0.2020 142 66 76
2015-06-23 2016-02-11 2016-06-08 -0.1482 247 165 82
2012-04-03 2012-06-04 2012-08-17 -0.1029 97 43 54

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec SPTM
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA 0.2 -0.2 0.0 0.0
2001 0.2 -1.0 0.0 1.4 0.2 0.0 0.4 0.0 -0.2 1.9 0.0 0.0 2.9
2002 -0.6 1.9 -0.5 0.8 0.0 -2.1 -2.5 0.0 4.0 1.7 0.0 0.0 2.6
2003 0.0 0.0 1.1 0.1 0.0 0.7 -1.1 0.0 2.0 0.0 1.1 0.0 3.9
2004 0.0 0.5 0.3 0.0 -0.2 -1.1 0.0 0.3 1.5 0.1 1.3 0.0 2.7
2005 0.9 0.5 -0.9 0.0 0.5 -0.5 0.0 0.7 0.0 -0.4 1.2 0.0 1.8
2006 0.0 0.9 0.0 -0.3 1.2 0.0 -0.8 0.5 0.0 -0.7 -0.4 0.0 0.4
2007 0.6 -0.3 0.0 0.2 0.5 0.0 -0.9 0.0 1.4 -2.2 0.0 0.0 -0.8
2008 0.9 0.0 3.5 1.5 0.0 -0.3 -0.4 0.0 -5.5 0.0 -8.8 0.0 -9.3
2009 0.0 0.0 1.4 0.4 2.8 0.5 0.0 -2.2 -2.4 0.0 1.3 0.0 1.7
2010 1.2 0.9 0.4 0.0 -1.8 -0.5 0.0 3.0 0.4 -0.5 1.9 0.0 5.0
2011 1.7 -1.5 0.3 0.0 -1.3 1.5 -0.3 -1.1 0.0 -3.1 -0.2 0.0 -3.8
2012 1.1 0.5 0.0 0.5 -2.8 0.0 -0.6 0.0 0.0 1.1 0.0 0.0 -0.2
2013 0.6 0.3 -0.8 -1.0 0.0 0.6 1.5 0.0 1.1 0.0 0.0 0.0 2.3
2014 0.0 0.0 1.7 0.1 0.0 0.8 -0.7 0.0 -1.9 0.0 -1.0 0.0 -1.1
2015 0.0 0.0 -0.7 0.5 0.2 0.1 0.0 -3.4 0.4 0.0 0.7 0.0 -2.3
2016 -0.4 1.6 0.2 0.0 0.3 0.4 -0.3 0.1 0.0 -0.7 -0.5 0.0 0.7
2017 0.2 1.5 0.0 0.4 0.7 0.0 0.0 0.4 0.0 0.0 -0.2 0.0 2.9
2018 -0.1 -1.1 0.0 0.2 1.0 0.0 -0.1 0.0 0.2 1.3 0.0 0.0 1.3
2019 0.1 0.7 1.2 -0.7 0.0 0.9 -0.8 0.0 -1.3 1.0 0.0 0.1 1.1

Row

Rolling Performance Chart

Snail Trail Chart